Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0922 |
| Annualized Std Dev | 0.2538 |
| Annualized Sharpe (Rf=0%) | 0.3631 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3647.0000 |
| NAs | 1.0000 |
| Minimum | -0.1383 |
| Quartile 1 | -0.0065 |
| Median | 0.0010 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0080 |
| Maximum | 0.0973 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0010 |
| Variance | 0.0003 |
| Stdev | 0.0160 |
| Skewness | -0.4485 |
| Kurtosis | 7.3816 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0117 |
| Gain Deviation | 0.0110 |
| Loss Deviation | 0.0127 |
| Downside Deviation (MAR=210%) | 0.0160 |
| Downside Deviation (Rf=0%) | 0.0115 |
| Downside Deviation (0%) | 0.0115 |
| Maximum Drawdown | 0.6304 |
| Historical VaR (95%) | -0.0241 |
| Historical ES (95%) | -0.0388 |
| Modified VaR (95%) | -0.0254 |
| Modified ES (95%) | -0.0499 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-07-16 | 2009-03-09 | 2010-04-15 | -0.6304 | 694 | 416 | 278 |
| 2018-09-04 | 2020-03-23 | 2020-12-04 | -0.4569 | 569 | 390 | 179 |
| 2011-05-02 | 2011-10-03 | 2013-01-02 | -0.2975 | 421 | 108 | 313 |
| 2015-06-24 | 2016-02-11 | 2016-11-11 | -0.2473 | 352 | 161 | 191 |
| 2010-04-26 | 2010-07-06 | 2010-12-03 | -0.2258 | 156 | 50 | 106 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | NA | NA | NA | -0.4 | -1.4 | -0.6 | -1.1 | -3.4 |
| 2007 | 0.8 | 0 | -0.2 | 0.3 | 0.8 | -0.7 | 0.1 | 1.6 | 2.1 | -3.6 | 0.2 | -0.5 | 0.8 |
| 2008 | 3.2 | -2.6 | 3.4 | 1.8 | 0.2 | -0.1 | 0.7 | -1 | 2 | 3.7 | -11.3 | 2.5 | 1.5 |
| 2009 | -1.9 | -0.8 | 2 | 1.7 | 4.9 | 2.2 | 0.5 | -3.1 | -3.9 | -3.8 | 1.9 | -0.6 | -1.2 |
| 2010 | 1.1 | 2.4 | 0.8 | -3.2 | -3.5 | -0.8 | 0 | 3.8 | 0.3 | -0.6 | 2.1 | -0.8 | 1.4 |
| 2011 | 2.3 | -2.2 | 0.3 | 0.4 | -2.9 | 1.5 | -0.5 | -2.2 | -2.7 | -3.9 | -0.8 | -0.5 | -10.6 |
| 2012 | 2.1 | 0.5 | -0.4 | -0.3 | -2.9 | 3.1 | -0.8 | 0.5 | 0.3 | 1.6 | -0.1 | 2 | 5.6 |
| 2013 | 1 | 0.4 | -1.3 | -2.1 | -0.9 | 1.9 | 1.4 | -1.6 | 0.9 | -0.4 | 0.2 | 0.3 | -0.4 |
| 2014 | -0.8 | 0.1 | 1 | -0.3 | -0.3 | 1.2 | -0.3 | 0.7 | -1.4 | 1.6 | -1.6 | -0.8 | -0.9 |
| 2015 | -2 | -0.2 | 0.1 | 0.5 | 0.2 | 0.2 | 0.2 | -2.9 | -0.3 | -0.5 | 0.2 | -0.8 | -5.2 |
| 2016 | -0.4 | 1.8 | 0 | -0.7 | 0.5 | 0.8 | -0.3 | 0 | 1 | -1.1 | -0.3 | -0.5 | 0.7 |
| 2017 | 0 | 1.9 | 0.2 | 0.5 | 1.9 | -0.1 | 0.3 | 0.7 | 0.3 | -0.3 | -0.5 | -0.7 | 4.2 |
| 2018 | 0.3 | -0.4 | 1.2 | 0.3 | 0.7 | 0 | -0.2 | 0.3 | -1 | 1.9 | 0.4 | 0.6 | 4.2 |
| 2019 | 0.1 | 0.6 | 1.4 | -0.9 | -1.3 | 0.4 | -1.8 | 0 | -1.7 | 1.6 | -0.7 | 0.2 | -2.2 |
| 2020 | -2.3 | -1 | -6.2 | -3.9 | 0.8 | -1.2 | -1.1 | 1.3 | 1.6 | -1.5 | 1.2 | 0.2 | -11.8 |
| 2021 | 2.6 | 3.5 | 0.7 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 6.9 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-09-20 50.5 SPY 133. 0.0053 0.0022 0.0183 0.06 0.0857 0.278 0.300 GLD 57.3 0.006 -0.0232
2 2006-09-21 50.3 SPY 132. -0.00480 -0.0027 0.0134 0.0595 0.0906 0.286 0.336 GLD 58.0 0.0121 0.0133
3 2006-09-22 49.6 SPY 131. -0.003 -0.0037 0.0132 0.0565 0.0835 0.277 0.352 GLD 58.5 0.0095 0.0192
4 2006-09-25 50.2 SPY 132. 0.0077 0.0026 0.0218 0.0599 0.0909 0.310 0.316 GLD 58.5 0 0.0046
5 2006-09-26 50.3 SPY 134. 0.0083 0.0134 0.029 0.078 0.0987 0.332 0.313 GLD 58.7 0.0041 0.032
6 2006-09-27 50.6 SPY 134. 0.00120 0.00930 0.0254 0.0721 0.100 0.338 0.319 GLD 59.8 0.0182 0.0445
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
